Estimating Value-at-Risk and Expected Shortfall: Do Polynomial Expansions Outperform Parametric Densities?
Castillo-Brais, B., León, A. & J. Mora.
Mathematics – 2022
Castillo-Brais, B., León, A. & J. Mora.
Mathematics – 2022
León, A & T. Ñiguez
Journal of Risk Finance – Forthcoming
León, A & T. Ñiguez
European Journal of Finance – Forthcoming
León, A & T. Ñiguez
Journal of Empirical Finance – 2021
Castillo, B., León, A & T. Ñiguez
Finance Research Letters – Forthcoming
Leon, A. and T.M. Ñiguez
Journal of Banking and Finance – 2020
Ródenas, C., Martí, M., and A. León
Applied Economic Analysis – 2020
Acereda, B., León, A. and Mora, J
Finance Research Letters – 2020
Benito, F., A. León and J. Nave
Journal of Empirical Finance – 2007
León, A., J, Nave and G. Rubio
Journal of Banking and Finance – 2007